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Estimating the ordering of variables in a VAR using a Plackett-Luce prior

Wu, Ping; Koop, Gary - In: Economics letters 230 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014460378

Fast, order-invariant Bayesian inference in VARs using the eigendecomposition of the error covariance matrix

Wu, Ping; Koop, Gary - 2023

Persistent link: https://www.econbiz.de/10014316242

Small-sample power of tests for inequality restrictions : the case of quarter-dependent regression errors

Wu, Ping X. - In: Economics letters 52 (1996) 2, pp. 121-127

Persistent link: https://www.econbiz.de/10001208415

Locally optimal one-sided tests for multiparameter hypotheses

King, Maxwell L. - In: Econometric reviews 16 (1997) 2, pp. 131-156

Persistent link: https://www.econbiz.de/10001220188

Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Many recent papers in macroeconomics have used large Vector Autoregressions (VARs) involving a hundred or more dependent variables. With so many parameters to estimate, Bayesian prior shrinkage is vital in achieving reasonable results. Computational concerns currently limit the range of priors...

Persistent link: https://www.econbiz.de/10014108644